Discovery Projects - Grant ID: DP0452996

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DP0452996

Funding Status
Closed

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Funded Activity Summary

The Implementation of Optimal Investment Decision Strategies in Finance. This project will develop a set of implementable solution methodologies for a class of optimal financial decision making problems of practical interest in the finance sector. It involves the application of sophisticated ideas from mathematical finance and adaptive stochastic optimal control theory. The innovation of the project lies in its application of recent advances in the solution of stochastic dynamic optimisation problems to develop practical implementations of a range of financial optimisation problems. Its outcomes will benefit both Australian financial institutions and sectors of Australia's IT industry developing innovative financial risk management software.

Funded Activity Details

Start Date: 23-01-2004

End Date: 31-08-2007

Funding Scheme: Discovery Projects

Funding Amount: $150,000.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Stochastic Analysis And Modelling | Finance | Banking, Finance and Investment | Systems Theory And Control

ANZSRC Socio-Economic Objective (SEO)

Finance and investment services | Microeconomic issues not elsewhere classified | Computer software and services not elsewhere classified |

Other Keywords

Banking, Finance and Investment | Computer software and services not elsewhere classified | Finance | Finance and investment services | Microeconomic issues not elsewhere classified | Stochastic Analysis And Modelling | Systems Theory And Control

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